Volume and the Nonlinear Dynamics of Stock Returns

Volume and the Nonlinear Dynamics of Stock Returns

by Chiente Hsu
     
 

This book is about the joint dynamics of sk returns and trading volume. We propose a dynamic equilibrium model in which agents have rational expectations and are heterogeneous in their investment opportunity. The dynamics of sk returns and trading volume implied by the model can explain the main empirical regularities found in high frequency sk data: (i) Time

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Overview

This book is about the joint dynamics of sk returns and trading volume. We propose a dynamic equilibrium model in which agents have rational expectations and are heterogeneous in their investment opportunity. The dynamics of sk returns and trading volume implied by the model can explain the main empirical regularities found in high frequency sk data: (i) Time varying volatility. (ii) Positive volume-volatility relation. (iii) Ambiguous volume-persistance relation. Finally, the model is tested using efficient method of moments.

Product Details

ISBN-13:
9783540636724
Publisher:
Springer Berlin Heidelberg
Publication date:
03/28/1998
Series:
Lecture Notes in Economics and Mathematical Systems Series, #457
Edition description:
Softcover reprint of the original 1st ed. 1998
Pages:
133
Product dimensions:
6.30(w) x 9.45(h) x (d)

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